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Threshold modelling of nonlinear dynamic relationships: an application to a daily series of economic activiity

Abstract

This paper develops a methodology to model non-linear dynamic relationships. The non-linear functions are approached by the inclusion of threshold variables in an iterative forward search process which allows for different lenghts of the response functions to impulses at different intervals of the explanatory variables. The paper includes an application of these methods to the forecasting of the daily consumption of electricity as a function of temperature in Spain

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